CEG Options History — September 2008

In September 2008, CEG traded between $23.00 and $66.50. ATM implied volatility averaged 82.6%, placing in the 48.8% IV rank vs the trailing year. The 30-day expected move averaged 23.6%. IV traded below realized volatility by 44.5% (HV 20d: 127.1%). Max pain ranged from $30.00 to $70.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 3.16.

Notable Days

  • 2008-09-16: Highest Volume — 39,791 contracts
  • 2008-09-16: Largest IV spike — 127.5% change
  • 2008-09-15: Highest IV Rank — 100.0%
  • 2008-09-17: Largest Expected Move — 72.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.48$23.00$66.50$65.98$24.30
Max Pain$55.95$30.00$70.00$65.00$30.00
ATM IV82.6%42.9%251.6%44.2%72.1%
Expected Move23.6%12.2%72.1%12.7%20.7%
HV 20d127.1%40.0%186.3%75.9%186.3%
HV 60d87.9%51.3%121.9%51.4%121.9%
IV Rank48.8%17.2%100.0%50.2%22.9%
IV Percentile96.5%92.5%100.0%94.0%97.2%
Term Structure-20.6%-143.9%2.4%-1.3%-3.1%
VWIV83.5%42.2%233.7%42.8%88.6%
Skew 25d11.7%-89.7%92.8%4.8%40.9%
Skew 10d34.8%-41.0%233.5%8.1%72.5%
Call IV 25d78.0%41.3%266.7%43.7%72.7%
Put IV 25d89.7%46.1%252.5%48.4%113.6%
Bid-Ask Spread %34.7910.7875.8437.7639.07
Gamma HHI0.220.080.310.170.25
Net GEX-128.5K-1.5M564.3K441.6K401.1K
Net DEX83.6M56.0M124.4M60.3M59.6M
Net VEX-339.4K-647.3K-12.9K-647.3K-167.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.160.2423.280.7123.28
Total Volume11,010.33337639,79166233,970
Total OI118,713104,095144,030104,095142,467

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$65.98$65.0044.2%12.7%75.9%50.2%42.8%4.8%-1.3%441.6K60.3M-647.3K0.7137.76N/AN/A38627662,20441,891
2008-09-03$66.50$65.0043.8%12.6%75.1%49.4%43.9%4.7%-1.5%540.8K56.3M-641.6K0.5237.45N/AN/A46124162,34542,069
2008-09-04$65.73$65.0042.9%12.3%74.5%47.7%43.2%3.1%-0.4%394.7K62.2M-643.4K3.8825.79N/AN/A7729962,52342,257
2008-09-05$63.31$70.0043.6%12.2%75.2%49.0%45.0%6.2%1.5%-434.0K93.8M-560.1K1.6520.71N/AN/A1,1241,85362,40442,434
2008-09-08$63.99$70.0043.5%12.5%75.4%48.7%42.2%6.5%1.0%-235.5K84.0M-574.7K0.4420.80N/AN/A1,37660162,97543,346
2008-09-09$59.95$70.0049.0%13.1%78.1%59.5%48.4%2.4%1.4%-1.1M116.1M-506.3K17.3023.44N/AN/A1913,30463,63543,244
2008-09-10$59.14$70.0049.1%13.2%47.5%59.7%45.8%3.5%0.7%-1.5M121.7M-468.1K1.6431.30N/AN/A40666563,68941,926
2008-09-11$57.87$70.0047.2%13.5%42.9%56.0%46.9%5.5%0.1%-1.3M124.0M-438.2K0.7429.83N/AN/A56041363,86440,918
2008-09-12$58.37$70.0047.1%13.5%40.0%55.8%46.2%4.2%-0.2%-1.4M121.6M-418.9K0.2435.48N/AN/A70817364,03940,237
2008-09-15$47.99$70.0099.5%28.5%78.3%100.0%96.1%10.2%-26.0%-519.2K124.4M-360.4K1.5238.75N/AN/A3,8945,92364,07840,216
2008-09-16$30.76$70.00226.3%64.9%172.0%100.0%196.4%92.8%-75.4%-168.1K102.3M-207.6K1.4041.78N/AN/A16,55923,23265,92943,065
2008-09-17$24.77$65.00251.6%72.1%182.4%100.0%233.7%-89.7%-143.9%-51.7K77.8M-225.3K0.7347.17N/AN/A13,2609,64676,23648,186
2008-09-18$24.20$65.0068.3%19.6%180.4%21.3%76.2%8.3%-36.4%7.3K97.5M-12.9K1.5875.84N/AN/A8,31613,13578,47540,905
2008-09-19$25.76$55.00127.8%36.6%182.4%46.8%125.4%22.1%-66.5%103.4K79.6M-198.1K0.3766.83N/AN/A7,5742,82489,45450,329
2008-09-22$27.20$55.0096.0%27.5%185.3%33.2%91.4%17.5%-28.1%101.1K71.4M-138.1K0.2540.59N/AN/A12,1803,10575,91142,616
2008-09-23$26.11$30.0081.5%23.4%185.0%27.0%86.3%4.9%-14.4%391.1K62.8M-166.8K3.2324.29N/AN/A4,92615,91785,42745,970
2008-09-24$25.80$30.0060.3%17.3%183.9%17.9%66.2%11.3%2.4%418.5K62.2M-170.2K0.5614.50N/AN/A6,0803,38286,38847,368
2008-09-25$26.00$30.0062.9%18.0%183.2%19.0%69.4%10.3%-10.6%466.8K56.0M-206.7K0.4922.87N/AN/A9,8994,80789,59048,151
2008-09-26$25.25$30.0058.8%16.9%182.4%17.2%85.7%17.7%-10.5%564.3K58.3M-188.4K5.1610.78N/AN/A2,24811,60693,21948,963
2008-09-29$23.00$30.00119.3%34.2%182.8%43.2%132.9%59.0%-22.2%205.7K62.7M-186.3K0.7645.52N/AN/A3,1972,42394,70749,323
2008-09-30$24.30$30.0072.1%20.7%186.3%22.9%88.6%40.9%-3.1%401.1K59.6M-167.9K23.2839.07N/AN/A1,39932,57193,30249,165